Getting Lion from the App Store is convenient, but if you want a physical copy of the installation, you can easily make your own Lion install DVD or USB drive with Disk Utility.

If you want to do a clean installation of Lion (or you want to install it on a Hackintosh), you'll need to install it on some sort of physical media. Apple will be releasing a flash drive installer for a whopping $70 in August, but you don't need to wait (or pay twice the OS's price) to get it. It's very easy to burn Apple's installer to a single layer DVD or flash drive of 5GB or larger.

Important: Note that the Lion installer deletes itself if you upgrade, so if you want to do this, you have to do it before you update your computer to Lion. You can always re-download Lion after the fact, but geez, who wants to do that? Once you've got it on your system, here's what you do:

Download Lion from the Mac App Store. The installer should show up in your Applications folder.

Right-click on the installer and hit "Show Package Contents". Navigate to Contents > SharedSupport and look for a file called "InstallESD.dmg".

Open up Disk Utility and drag the DMG file into the left-hand sidebar. If you're burning it to a DVD, insert your DVD, select the disk image in the sidebar, and hit the "Burn" button. Skip down to the last step to use it.

If you want to burn Lion to a USB flash drive, plug it in and click on it in the left-hand sidebar in Disk Utility. Go to the Partition tab and select "1 Partition" from the dropdown menu. Choose "Mac OS Extended (Journaled) on the left.

Hit the Options button under the partition table and choose "GUID Partition Table". You'll need this to make the drive bootable on a Mac. Hit the Apply button when you're done to format your drive (note: it will erase everything on the drive).

Click on the "Restore" tab, choose the InstallESD.dmg file as the source and your flash drive as the destination. Hit the Apply button and it will create your bootable USB drive.

Reboot into OS X and hold the option key when you hear the startup chime. You can boot into your DVD or flash drive from there.

You'll not only be able to install Lion from this drive, but you'll also be able to use Disk Utiltiy, recover from a Time Machine backup, and do everything else you could do with the old installation DVDs. Note that when you install Lion, it'll create a recovery partition with all these features anyway, so you don't need the DVD unless you're doing a clean install. Though it's always nice to have around in case something happens, like you erase your entire drive. Not that that's ever happened to me 3 times in one week or anything.